Giovanni Barone-Adesi

Swiss Finance Institute at the University of Lugano

Professor

Via Buffi 13

CH-6904 Lugano

Switzerland

Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne

c/o University of Geneve

40, Bd du Pont-d'Arve

1211 Geneva, CH-6900

Switzerland

SCHOLARLY PAPERS

26

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CITATIONS
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54

Scholarly Papers (26)

A GARCH Option Pricing Model with Filtered Historical Simulation

Review of Financial Studies, 2008
Number of pages: 54 Posted: 15 Oct 2004 Last Revised: 29 Apr 2008
Giovanni Barone-Adesi, Robert F. Engle and Loriano Mancini
Swiss Finance Institute at the University of Lugano, New York University - Leonard N. Stern School of Business - Department of Economics and Ecole Polytechnique Fédérale de Lausanne
Downloads 2,762 (2,908)
Citation 21

Abstract:

Option pricing, GARCH model, state price density, Monte Carlo simulation

A GARCH Option Pricing Model with Filtered Historical Simulation

The Review of Financial Studies, Vol. 21, Issue 3, pp. 1223-1258, 2008
Posted: 02 Jul 2008
Giovanni Barone-Adesi, Robert F. Engle and Loriano Mancini
Swiss Finance Institute at the University of Lugano, New York University - Leonard N. Stern School of Business - Department of Economics and Ecole Polytechnique Fédérale de Lausanne

Abstract:

G13

2.

An Option Pricing Formula for the GARCH Diffusion Model

EFMA 2004 Basel Meetings Paper
Number of pages: 31 Posted: 13 May 2004
Giovanni Barone-Adesi, Henrik Rasmussen and Claudia Ravanelli
Swiss Finance Institute at the University of Lugano, J.P. Morgan and Co. and Center for Finance and Insurance
Downloads 1,028 (15,190)
Citation 4

Abstract:

Option pricing, Stochastic volatility models, GARCH models, implied volatility, Monte Carlo methods

3.

Sentiment, Risk Aversion, and Time Preference

Swiss Finance Institute Research Paper No. 12-21
Number of pages: 44 Posted: 18 May 2012 Last Revised: 21 May 2016
Giovanni Barone-Adesi, Loriano Mancini and Hersh Shefrin
Swiss Finance Institute at the University of Lugano, Ecole Polytechnique Fédérale de Lausanne and Santa Clara University - Leavey School of Business
Downloads 945 (14,034)
Citation 1

Abstract:

Sentiment, Pricing Kernel, Optimism, Overconfidence, Option Data

4.

Electricity Derivatives

Number of pages: 15 Posted: 07 May 2002
Giovanni Barone-Adesi and Andrea Gigli
Swiss Finance Institute at the University of Lugano and Universita della Svizzera Italiana - Institute of Finance
Downloads 865 (19,479)
Citation 2

Abstract:

Electricity derivatives, risk-neutral valuation

5.

Barrier Option Pricing Using Adjusted Transition Probabilities

Swiss Finance Institute Research Paper No. 07-02
Number of pages: 29 Posted: 22 Feb 2007
Giovanni Barone-Adesi, Nicola Fusari and John Theal
Swiss Finance Institute at the University of Lugano, Northwestern University - Kellogg School of Management and Banque Centrale du Luxembourg
Downloads 792 (21,712)

Abstract:

barrier option, binomial tree, convergence rate, transition probability

6.

On the Lease Rate, Convenience Yield and Speculative Effects in the Gold Futures Market

Swiss Finance Institute Research Paper No. 09-07
Number of pages: 36 Posted: 21 Mar 2009 Last Revised: 06 Sep 2010
Giovanni Barone-Adesi, Hélyette Geman and John Theal
Swiss Finance Institute at the University of Lugano, University of London - Economics, Mathematics and Statistics and Banque Centrale du Luxembourg
Downloads 695 (24,667)

Abstract:

gold futures market, convenience yield, gold lease rate, speculative pressure

7.

Pricing Bonds and Bond Options with Default Risk

Number of pages: 43 Posted: 05 Mar 2004
Emilio Barone, Giovanni Barone-Adesi and Antonio Castagna
Luiss - Guido Carli (Dpt. of Economics and Finance), Swiss Finance Institute at the University of Lugano and Iason Ltd.
Downloads 665 (26,519)
Citation 2

Abstract:

8.

Sentiment, Asset Prices, and Systemic Risk

Swiss Finance Institute Research Paper No. 11-50
Number of pages: 31 Posted: 03 Nov 2011 Last Revised: 21 Mar 2012
Giovanni Barone-Adesi, Loriano Mancini and Hersh Shefrin
Swiss Finance Institute at the University of Lugano, Ecole Polytechnique Fédérale de Lausanne and Santa Clara University - Leavey School of Business
Downloads 513 (34,340)
Citation 2

Abstract:

systemic risk, marginal expected shortfall, pricing kernel, overconfidence, optimism

9.

The Relationship Between Credit Default Swap and Cost of Equity Capital

Swiss Finance Institute Research Paper No. 10-49
Number of pages: 57 Posted: 05 Dec 2010
Giovanni Barone-Adesi and Moreno Brughelli
Swiss Finance Institute at the University of Lugano and University of Lugano - Institute of Finance
Downloads 372 (58,102)

Abstract:

Asset Pricing, Cost of Capital, Implied Cost of Capital, Analysts' Forecasts, Discount Rate, Firm Valuation

10.

Financial Crisis: Estimating the Risk of Assets in Balance

Number of pages: 34 Posted: 26 Jun 2009 Last Revised: 09 Sep 2015
Giovanni Barone-Adesi and Giuseppe Corvasce
Swiss Finance Institute at the University of Lugano and Rutgers University - Center for Financial Statistics and Risk Management
Downloads 346 (66,886)

Abstract:

Financial Institutions, Spectral Measure, Filtered Historical Simulation

11.

Managing the Risks of Corporate Bond Portfolios: New Evidence in the Light of the Sub‐Prime Crisis

Swiss Finance Institute Research Paper No. 12-04
Number of pages: 54 Posted: 11 Feb 2012
Giovanni Barone-Adesi, Nicola Carcano and Hakim Dall'O
Swiss Finance Institute at the University of Lugano, University of Lugano and Swiss Finance Institute at the University of Lugano
Downloads 320 (69,736)

Abstract:

hedging, corporate bonds, model errors

12.

Average Conditional Correlation and Tree Structures for Multivariate GARCH Models

Number of pages: 36 Posted: 03 Jun 2004
Francesco Audrino and Giovanni Barone-Adesi
University of St. Gallen and Swiss Finance Institute at the University of Lugano
Downloads 319 (72,991)
Citation 3

Abstract:

Multivariate GARCH models,Dynamic conditional correlations,Tree-structured GARCH models, Model confidence set approach

13.
Downloads 313 ( 74,967)

Is the Price Kernel Monotone?

Swiss Finance Institute Research Paper No. 10-03
Number of pages: 33 Posted: 24 Jan 2010 Last Revised: 07 May 2010
Giovanni Barone-Adesi and Hakim Dall'O
Swiss Finance Institute at the University of Lugano and Swiss Finance Institute at the University of Lugano
Downloads 248 (96,297)

Abstract:

Pricing kernel, State price density per unit probability, Risk neutral, Historical distribution.

Is the Price Kernel Monotone?

Number of pages: 30 Posted: 21 Jan 2010
Giovanni Barone-Adesi and Hakim Dall'O
Swiss Finance Institute at the University of Lugano and Swiss Finance Institute at the University of Lugano
Downloads 65 (278,216)

Abstract:

Pricing kernel, State price density per unit probability

14.

Homogeneity Hypothesis in the Context of Asset Pricing Models: The Quadratic Market Model

Cass Business School Research Paper
Number of pages: 14 Posted: 14 Mar 2001
Giovanni Barone-Adesi, Patrick Gagliardini and Giovanni Urga
Swiss Finance Institute at the University of Lugano, University of Lugano and Swiss Finance Institute and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy
Downloads 294 (77,699)
Citation 3

Abstract:

Asset pricing models, panel

15.

A Multivariate FGD Technique to Improve VaR Computation in Equity Markets

Number of pages: 30 Posted: 15 Jan 2003
Francesco Audrino and Giovanni Barone-Adesi
University of St. Gallen and Swiss Finance Institute at the University of Lugano
Downloads 242 (96,782)
Citation 2

Abstract:

Volatility estimation, Filtered Historical Simulation, Value-at-Risk

16.

Capital Levels and Risk-Taking Propensity in Financial Institutions

Swiss Finance Institute Research Paper No. 13-33
Number of pages: 11 Posted: 08 Jun 2013
Giovanni Barone-Adesi, Walter Farkas and Pablo Koch-Medina
Swiss Finance Institute at the University of Lugano, University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 138 (144,564)

Abstract:

risk propensity, net tangible value, default option, franchise value

17.

'Sentiment, Risk Aversion, and Time Preference': Online Appendix

Number of pages: 60 Posted: 22 Jul 2013 Last Revised: 21 May 2016
Giovanni Barone-Adesi, Loriano Mancini and Hersh Shefrin
Swiss Finance Institute at the University of Lugano, Ecole Polytechnique Fédérale de Lausanne and Santa Clara University - Leavey School of Business
Downloads 69 (192,865)
Citation 1

Abstract:

Sentiment, Pricing Kernel, Optimism, Overconfidence, Option Data

18.

Backtesting Derivative Portfolios with Filtered Historical Simulation (FHS)

European Financial Management, Vol. 8, pp. 31-58, 2002
Number of pages: 28 Posted: 24 Apr 2002
Giovanni Barone-Adesi, Kostas Giannopoulos and Les Vosper
Swiss Finance Institute at the University of Lugano, Neapolis University, Pafos and LCH.Clearnet (Retired)
Downloads 32 (370,238)
Citation 13

Abstract:

19.

Non-Parametric VAR Techniques: Myths and Realities

Economic Notes, 30, July, 167-181
Posted: 28 Aug 2012
Kostas Giannopoulos and Giovanni Barone-Adesi
Neapolis University, Pafos and Swiss Finance Institute at the University of Lugano

Abstract:

market risk, non parametric, filtered historical simulation

20.

The Stability of Factor Models of Interest Rates

Journal of Financial Econometrics, Vol. 3, No. 3, pp. 422-441, 2005
Posted: 29 Feb 2008
Francesco Audrino, Giovanni Barone-Adesi and Antonietta Mira
University of St. Gallen, Swiss Finance Institute at the University of Lugano and University of Insubria - Department of Economics

Abstract:

factor analysis, FGD, robust regression, term structure

21.

On the Use of Implied Volatilities in the Prediction of Successful Corporate Takeovers

ADVANCES IN FUTURES AND OPTIONS RESEARCH, Volume 7, 1994
Posted: 23 Dec 1999
Keith C. Brown, Giovanni Barone-Adesi and W. Van Harlow
University of Texas at Austin - Department of Finance, Swiss Finance Institute at the University of Lugano and Fidelity Investments

Abstract:

22.

On the Use of Implied Stock Volatilities in the Prediction of Successful Corporate Takeovers

Posted: 10 Sep 1999
Giovanni Barone-Adesi, Keith C. Brown and W. Van Harlow
Swiss Finance Institute at the University of Lugano, University of Texas at Austin - Department of Finance and Fidelity Investments

Abstract:

23.

ALM in Banks

Posted: 06 Jan 1999
Giovanni Barone-Adesi
Swiss Finance Institute at the University of Lugano

Abstract:

24.

Call Policies With Flotation Costs: A Dog Chasing Its Tail

Rodney L. White Center for Financial Research Working Paper No. 12-95
Posted: 10 Oct 1998
Giovanni Barone-Adesi and Francisco A. Delgado
Swiss Finance Institute at the University of Lugano and University of Colorado at Boulder - Leeds School of Business

Abstract:

25.

Capital Structure, Call Policies and Flotation Costs: A Dog Chasing Its Tail

Rodney L. White Center for Financial Research Working Paper Series Paper #22-95 (This paper is a revision of Working Paper #12-95 ("Call Policies with Flotation Costs: A Dog Chasing Its Tail")
Posted: 05 Jul 1998
Francisco A. Delgado and Giovanni Barone-Adesi
University of Colorado at Boulder - Leeds School of Business and Swiss Finance Institute at the University of Lugano

Abstract:

26.

Pricing Bonds and Bond Options Under Default Risk

European Financial Management, Vol 4, No 2, July 1998
Posted: 15 Jun 1998
Emilio Barone, Giovanni Barone-Adesi and Antonio Castagna
Luiss - Guido Carli (Dpt. of Economics and Finance), Swiss Finance Institute at the University of Lugano and Iason Ltd.

Abstract: